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Essays on macroeconomic models with heterogeneous agents
 Sutóris, Ivan ; Kejak, Michal (advisor) ; Sterk, Vincent (referee) ; Reiter, Michael (referee)
This dissertation consists of three chapters dealing with the topic of heterogeneity in macroeconomics and macroeconomic models. Chapter 1 contributes to the literature on computational approaches to solving DSGE models with heterogeneous agents. One possible approach, a hybrid method described in Reiter (2009) combines a nonlinear solution with respect to individual state variables and a linearized solution with respect to aggregate shocks. Since linearization has typically been used in representative agent models, a natural question is how well it works in a setting with heterogeneity and whether a higher order approximation is not needed. I compare solutions obtained with linearization and second order perturbation for a benchmark stochastic growth model with idiosyncratic labor income shocks. In terms of accuracy, I find that second order solution does not differ much when aggregate volatility is low (e.g. in case of a typical calibration for productivity shocks in developed economies), but becomes more precise when volatility is higher. Another potential issue is that linearization implies certainty equivalence, which makes it unsuitable for analyzing certain issues. I illustrate potential economic applications of the 2nd order solution by showing how it can be used to easily compute welfare...
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